I found the same thing at a couple districts, but was able to create it successfully at other districts. All of them are running the latest version, 11.0.3, some hosted by PS and some on the school's server.

I didn't see anything out of the ordinary at the districts where the terms wouldn't save. I contacted Tech Support and they escalated the case, #03147714.

Thanks,Wayne   I'll just wait for a resolution. 

This is a server issue and the district I was working with was hosted, so the hosting team had to run a script on the server. 

If you are experiencing this issue you need to open a case with Tech Support and reference PowerSchool SaaS case number 03150959.

Here is what was documented in the case:
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Please run the following scripts to fix a failed table migration 

Delete as PS user 

delete from customfieldmigrationhistory where fieldsetname= 'State NE ReportingStoreCodes'; 
commit; 
delete from prefs where name = 'State_NE_ReportingStoreCodes'; 
commit; 

And then let me know so I can re-run the migration
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FYI: I was told the terms were created, but they were just not visible. So I assume even if you couldn't see the grading terms, you could run the Grades report successfully if you created the terms correctly.